dqrng

Fast Pseudo Random Number Generators

Several fast random number generators are provided as C++
header only libraries: The PCG family by O'Neill (2014
< https://www.cs.hmc.edu/tr/hmc-cs-2014-0905.pdf>) as well as
Xoroshiro128+ and Xoshiro256+ by Blackman and Vigna (2018
). In addition fast functions for generating random
numbers according to a uniform, normal and exponential distribution
are included. The latter two use the Ziggurat algorithm originally
proposed by Marsaglia and Tsang (2000, ).
These functions are exported to R and as a C++ interface and are
enabled for use with the default 64 bit generator from the PCG family,
Xoroshiro128+ and Xoshiro256+ as well as the 64 bit version of the 20 rounds
Threefry engine (Salmon et al., 2011 ) as
provided by the package 'sitmo'.

The dqrng package provides fast random number generators (RNG) with good
statistical properties for usage with R. It combines these RNGs with
fast distribution functions to sample from uniform, normal or
exponential distributions. Both the RNGs and the distribution functions
are distributed as C++ header-only library.